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RE: st: Took forever to run an event study program


From   "Nicolas Couderc" <Nicolas.Couderc@univ-paris1.fr>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Took forever to run an event study program
Date   Wed, 14 Mar 2007 09:50:00 +0100

Hi,

This seems to me not so long : 1800 seconds for 1300 iterations... 

In an event study, the key point to gain speed is generally to optimize the
iteration routine in its 'data management' aspects (and not in its
'computational' aspects): you should probably check how to speed up the way
that 'ouput' values are stored (caar, t-stat, residuals, and so on).

HTH,
Nicolas
---
Nicolas Couderc
 
Reims Management School et Centre d'Economie de la Sorbonne
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Mail : nicolas.couderc@reims-ms.fr ou couderc@univ-paris1.fr
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-----Message d'origine-----
De : owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] De la part de SamL
Envoyé : mercredi 14 mars 2007 08:14
À : statalist@hsphsun2.harvard.edu
Cc : SamL@demog.berkeley.edu
Objet : Re: st: Took forever to run an event study program

Hmm.  Thirty minutes=forever.  So, how long has my job, now on its eleventh
day, taken?  ;-)

Take care.
Sam

On Wed, 14 Mar 2007, Nian Huang wrote:

> Could someone who knows about the event study (Finance or Accounting
> area) in Stata give me some hints? My stata took too long to run a 
> event study program.
>
> My version is Intercool Stata.
>
> I have around 1,300 events. For each event, I need to calculate CAR 
> (cumulative abnormal return) around the event based on the market 
> model.
> The event window is 3 days (-1,  1). The CAR is totalled for the 3 days
period.
> The estimation window is 241 days (-250, -10)
>
> In Stata, for each event, a simple linear regression will be estimated 
> around the estimation window. Then based on the fitted line, residuals 
> will be calculated for the 3-day event window. Since I have around 
> 1,300 events, Stata will do the same routine around 1,300 times.
>
> I ran the program several times, and everytime it would take more than 
> 30 minutes to finish the task.
> I asked some of my colleagues--unfortunately, they use SAS instead of 
> Stata, and they said for the task, it only takes around several 
> seconds in SAS.
>
> I want to know whether any Stata users have the similar situation 
> while running a event study program.
> Is there any way to improve the program's efficiency?
>
> Thank you very much.
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